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1. A Unified Framework for Nonconvex Low-Rank plus Sparse Matrix Recovery

   Zhang, Xiao; Wang, Lingxiao Wang; Gu, Quanquan (April 2018, International Conference on Artificial Intelligence and Statistics)

   We propose a unified framework to solve general low-rank plus sparse matrix recovery problems based on matrix factorization, which covers a broad family of objective functions satisfying the restricted strong convexity and smoothness conditions. Based on projected gradient descent and the double thresholding operator, our proposed generic algorithm is guaranteed to converge to the unknown low-rank and sparse matrices at a locally linear rate, while matching the best-known robustness guarantee (i.e., tolerance for sparsity). At the core of our theory is a novel structural Lipschitz gradient condition for low-rank plus sparse matrices, which is essential for proving the linear convergence rate of our algorithm, and we believe is of independent interest to prove fast rates for general superposition-structured models. We illustrate the application of our framework through two concrete examples: robust matrix sensing and robust PCA. Empirical experiments corroborate our theory. 

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2. Minimax estimation of low-rank quantum states and their linear functionals

   https://doi.org/10.3150/23-BEJ1610  

   Lahiry, Samriddha; Nussbaum, Michael (February 2024, Bernoulli)

   In classical statistics, a well known paradigm consists in establishing asymptotic equivalence between an experiment of i.i.d. observations and a Gaussian shift experiment, with the aim of obtaining optimal estimators in the former complicated model from the latter simpler model. In particular, a statistical experiment consisting of n i.i.d. observations from d-dimensional multinomial distributions can be well approximated by an experiment consisting of d − 1 dimensional Gaussian distributions. In a quantum version of the result, it has been shown that a collection of n qudits (d-dimensional quantum states) of full rank can be well approximated by a quantum system containing a classical part, which is a d − 1 dimensional Gaussian distribution, and a quantum part containing an ensemble of d(d − 1)/2 shifted thermal states. In this paper, we obtain a generalization of this result when the qudits are not of full rank. We show that when the rank of the qudits is r, then the limiting experiment consists of an r − 1 dimensional Gaussian distribution and an ensemble of both shifted pure and shifted thermal states. For estimation purposes, we establish an asymptotic minimax result in the limiting Gaussian model. Analogous results are then obtained for estimation of a low rank qudit from an ensemble of identically prepared, independent quantum systems, using the local asymptotic equivalence result. We also consider the problem of estimation of a linear functional of the quantum state. We construct an estimator for the functional, analyze the risk and use quantum local asymptotic equivalence to show that our estimator is also optimal in the minimax sense. 

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3. Inference and uncertainty quantification for noisy matrix completion

   https://doi.org/10.1073/pnas.1910053116  

   Chen, Yuxin; Fan, Jianqing; Ma, Cong; Yan, Yuling (November 2019, Proceedings of the National Academy of Sciences)

   Noisy matrix completion aims at estimating a low-rank matrix given only partial and corrupted entries. Despite remarkable progress in designing efficient estimation algorithms, it remains largely unclear how to assess the uncertainty of the obtained estimates and how to perform efficient statistical inference on the unknown matrix (e.g., constructing a valid and short confidence interval for an unseen entry). This paper takes a substantial step toward addressing such tasks. We develop a simple procedure to compensate for the bias of the widely used convex and nonconvex estimators. The resulting debiased estimators admit nearly precise nonasymptotic distributional characterizations, which in turn enable optimal construction of confidence intervals/regions for, say, the missing entries and the low-rank factors. Our inferential procedures do not require sample splitting, thus avoiding unnecessary loss of data efficiency. As a byproduct, we obtain a sharp characterization of the estimation accuracy of our debiased estimators in both rate and constant. Our debiased estimators are tractable algorithms that provably achieve full statistical efficiency. 

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4. Robust W-GAN-based estimation under Wasserstein contamination

   https://doi.org/10.1093/imaiai/iaac020  

   Liu, Zheng; Loh, Po-Ling (August 2022, Information and Inference: A Journal of the IMA)

   Abstract Robust estimation is an important problem in statistics which aims at providing a reasonable estimator when the data-generating distribution lies within an appropriately defined ball around an uncontaminated distribution. Although minimax rates of estimation have been established in recent years, many existing robust estimators with provably optimal convergence rates are also computationally intractable. In this paper, we study several estimation problems under a Wasserstein contamination model and present computationally tractable estimators motivated by generative adversarial networks (GANs). Specifically, we analyze the properties of Wasserstein GAN-based estimators for location estimation, covariance matrix estimation and linear regression and show that our proposed estimators are minimax optimal in many scenarios. Finally, we present numerical results which demonstrate the effectiveness of our estimators. 

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5. Fundamental limits for rank-one matrix estimation with groupwise heteroskedasticity

   Behne, J. (January 2022, International Conference on Artificial Intelligence and Statistics)

   Low-rank matrix recovery problems involving high-dimensional and heterogeneous data appear in applications throughout statistics and machine learning. The contribution of this paper is to establish the fundamental limits of recovery for a broad class of these problems. In particular, we study the problem of estimating a rank-one matrix from Gaussian observations where different blocks of the matrix are observed under different noise levels. In the setting where the number of blocks is fixed while the number of variables tends to infinity, we prove asymptotically exact formulas for the minimum mean-squared error in estimating both the matrix and underlying factors. These results are based on a novel reduction from the low-rank matrix tensor product model (with homogeneous noise) to a rank-one model with heteroskedastic noise. As an application of our main result, we show that show recently proposed methods based on applying principal component analysis (PCA) to weighted combinations of the data are optimal in some settings but sub-optimal in others. We also provide numerical results comparing our asymptotic formulas with the performance of methods based weighted PCA, gradient descent, and approximate message passing. 

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